ON THE RELATION BETWEEN THE VEC AND BEKK MULTIVARIATE GARCH MODELS
From MaRDI portal
Publication:3632412
DOI10.1017/S0266466608080456zbMath1284.62572MaRDI QIDQ3632412
Publication date: 11 June 2009
Published in: Econometric Theory (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Discrete-time Markov processes on general state spaces (60J05) Probability theory on algebraic and topological structures (60B99)
Related Items (3)
Stationarity and geometric ergodicity of BEKK multivariate GARCH models ⋮ Model identification using the efficient determination criterion ⋮ Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
Cites Work
- Positive semidefinite biquadratic forms
- Generalized autoregressive conditional heteroscedasticity
- Ergodicity of Markov chains in an algebraic manifold: application to multivariate GARCH models
- Positive operators and an inertia theorem
- Positive linear maps of operator algebras
- Linear Preserver Problems
- ON THE PARAMETRIZATION OF MULTIVARIATE GARCH MODELS
- Chapter 3:inertia preservers
- Linear Maps on Selfadjoint Operators Preserving Invertibility, Positive Definiteness, Numerical Range
This page was built for publication: ON THE RELATION BETWEEN THE VEC AND BEKK MULTIVARIATE GARCH MODELS
